A note on tests of partial parameter stability in the cointegrated system

DOI10.1016/j.econlet.2007.09.043zbMath1255.91334OpenAlexW2018071406MaRDI QIDQ1934806

Chih-Chiang Hsu

Publication date: 29 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2007.09.043

zbMATH Keywords

cointegrationlocal power analysispartial parameter stability

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Statistical methods; economic indices and measures (91B82)

Related Items (1)

A two‐step procedure for testing partial parameter stability in cointegrated regression models

Cites Work

• Test for partial parameter instability in regressions with \(I(1)\) processes
• Stability tests in error correction models
• Structural changes in the cointegrated vector autoregressive model
• Testing for structural breaks in cointegrated relationships
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• Distinguishing between trend-break models: method and empirical evidence

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